V-Lab
G K P Printing & Packaging Asy. Power MEM Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
49.33%
1 Week
50.45%
1 Month
54.30%
Analysis last updated: Sunday, July 26, 2026 at 12:57 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 20, 2019 to Jul 24, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 92 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 2.83 sits above 2, so large shocks influence volatility more than quadratically, dominating the response more than in standard GARCH.
Inverse leverage: Positive returns increase volatility 43% more than negative returns
APMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0000 | 3.30*** |
α ARCH Response to squared shocks | 0.1059 | 13.56*** |
β GARCH Volatility persistence | 0.8371 | 108.50*** |
γ leverage Additional response to negative shocks | -0.0628 | -4.14*** |
δ power Transformation power | 2.8263 | 15.81*** |
Persistence:
0.993
Half-life:
92 days
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